| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 許雅鳳 | zh_TW |
| dc.creator (作者) | 許雅鳳 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:31:15 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:31:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:31:15 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096358008 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49678 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 96358008 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本研究著重於分析發行大量長年期利率敏感型契約、高財務槓桿比例的人壽保險業中公司經理人之投資決策，發現台灣壽險業亦存在Canner et al.(1997)提出之資產配置迷思，亦即風險性資產中債券與股票之比率於不同壽險公司間有差異，與共同基金分離理論中陳述之風險態度不同之投資人所持有之債券與股票比率應相同不相符。本文嘗試以Sorensen(1999)提出之擬似動態規劃法(Quasi- dynamic Programming)最適化到期之效用函數，試算經理人於股票及不同到期固定收益債券之最適持有比例。且詳細探討不同風險偏好及投資期限對於壽險公司投資組合之影響。將業主權益之最適投資策略加上負債之複製投資組合成為策略性資產配置結果，並將其與目前台灣壽險公司之資產配置做比較。研究結果顯示：1.以擬似動態規畫法求得之最適投資組合於不同風險態度下皆為長期債券以及股票。當經理人之風險趨避程度增加時，投資於股票之比例會減少、投資於債券之比例會增加。2.比較台灣壽險公司之債券與股票配置比例與本研究之結果發現，本資公司之風險態度較外資公司積極，本資公司應提高其債券之持有比例。本研究最後以Bajeux-Besnainou et al. (2001)提出之資產配置迷思解釋說明本資公司與外資公司持有之債券與股票比率之所以不同非因資產配置迷思之存在，本資公司與外資公司於風險性資產中持有之債券與股票比率是相同的，但因風險態度較為趨避之公司，投資於風險性資產比率下降、提高避險部位之配置，導致整體之股票與債券比率增加。關鍵字：資產負債管理、策略性資產配置、擬似動態規劃法。 | zh_TW |
| dc.description.tableofcontents | 第一章 研究動機與目的 1第二章 文獻回顧 7第一節 資產負債管理 7第二節 擬似動態規劃 9第三章 研究方法 10第一節 投資標的 10第二節 效用函數 12第三節 動態完備市場 12第四章 數值計算 14第一節 數值計算假設 14第二節 風險趨避程度對投資配置之影響 15第三節 評估期間長度對投資配置之影響 19第四節 負債複製投資組合與策略性資產配置 20第五節 研究結果與現況之比較 22第五章 結論與建議 27第一節 結論 27第二節 研究限制與建議 29參考文獻 30附錄 33附錄一 台灣壽險公司國內投資持有公債之情形 33附錄二 保險法第146條(資金之定義運用及其限制)條文內容 34附錄三 Vasicek單因子利率模型之參數校準之資料及方法 35附錄四 保險法第146-1條(資金得購買之有價證券)條文內容 38附錄五 其他投資期間之數值結果 39附錄六 模擬人壽保險公司之假設 42 | zh_TW |
| dc.format.extent | 100797 bytes | - |
| dc.format.extent | 248718 bytes | - |
| dc.format.extent | 209994 bytes | - |
| dc.format.extent | 261218 bytes | - |
| dc.format.extent | 396192 bytes | - |
| dc.format.extent | 275423 bytes | - |
| dc.format.extent | 285200 bytes | - |
| dc.format.extent | 612029 bytes | - |
| dc.format.extent | 219712 bytes | - |
| dc.format.extent | 235558 bytes | - |
| dc.format.extent | 573975 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0096358008 | en_US |
| dc.subject (關鍵詞) | 資產負債管理 | zh_TW |
| dc.subject (關鍵詞) | 策略性資產配置 | zh_TW |
| dc.subject (關鍵詞) | 擬似動態規劃法 | zh_TW |
| dc.subject (關鍵詞) | asset liability management | en_US |
| dc.subject (關鍵詞) | strategic asset allocation | en_US |
| dc.subject (關鍵詞) | quasi-dynamic programming | en_US |
| dc.title (題名) | 人壽保險公司之資產配置迷思 | zh_TW |
| dc.title (題名) | Asset allocation puzzle in Taiwan life insurance industry | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1. 古瀨政敏著，賴建業譯(1992)，《美國壽險公司之新經營策略》。 | zh_TW |
| dc.relation.reference (參考文獻) | 2. 吳家宏(1995)，「免疫理論應用於壽險業資產負債管理之研究」，政治大學保險所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 3. 何瑞鎮(2000)，「HJM模型下之存續期間與動態免疫策略」，中央大學財務管理研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 4. 張士傑、杜昌燁、鄧益俗(2003)，「最適跨期投資策略之套利與避險分析」，《保險專刊》，第19卷第1期，1-21。 | zh_TW |
| dc.relation.reference (參考文獻) | 5. 張士傑、黃美慧(2004)，「保險公司之最適盈餘分佈：模型與實務」，《保險學報》，創刊號。 | zh_TW |
| dc.relation.reference (參考文獻) | 6. Bajeux-Besnainou, I.; Jordan, J. V. and Portait, R. (2001), “An Asset Allocation Puzzle: Comment,” The American Economic Review, Vol.91, 1170-1179. | zh_TW |
| dc.relation.reference (參考文獻) | 7. Campbell, J. Y. (1987), “Stock Returns and Term Structure,” Journal of Financial Economics, Vol.18, 373-399. | zh_TW |
| dc.relation.reference (參考文獻) | 8. Canner, N.; Mankiw, N. G. and Weil, D. N. (1997), “An Asset Allocation Puzzle,” The American Economic Review, Vol.87, 181-191. | zh_TW |
| dc.relation.reference (參考文獻) | 9. Chan, K. C.; Karolyi, G. A.; Longstaff, F. A. and Sanders, A. B. (1992), “Empirical Comparison of Alternative Models of the Short-Term Interest Rates,” Journal of Finance, Vol.47, 1209-1227. | zh_TW |
| dc.relation.reference (參考文獻) | 10. Cox, J. C. and Huang, C. F. (1989), “Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process,” Journal of Economic Theory, Vol.49, 33-83. | zh_TW |
| dc.relation.reference (參考文獻) | 11. Cox, J. C. and Huang, C. F. (1991), “A Variational Problem Arising in Financial Economics,” Journal of Mathematical Economics, Vol.20, 465-487. | zh_TW |
| dc.relation.reference (參考文獻) | 12. Craig, M. (2008), “ALM in a Solvency II World,” Institute of Actuaries of Australia 4th Financial Services Forum. | zh_TW |
| dc.relation.reference (參考文獻) | 13. Fama, E. F. and French, K. R. (1989), “Business Condition and Excepted Returns on Stocks and Bonds,” Journal of Financial Economics, Vol.25, 23-49. | zh_TW |
| dc.relation.reference (參考文獻) | 14. Fish and Weil (1972), “Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies,” Journal of Business, Vol.44, 408-431. | zh_TW |
| dc.relation.reference (參考文獻) | 15. Hancock, J.; Huber, P. and Koch, P. (2001), The Economics of Insurance: How Insurers Create Value for Shareholders (2nd edition). | zh_TW |
| dc.relation.reference (參考文獻) | 16. Lamm-Tennant, J. (1989), “Asset / Liability Management for the Life Insurer: Situation Analysis and Strategy Formulation,” Journal of Risk and Insurance, Vol.56. | zh_TW |
| dc.relation.reference (參考文獻) | 17. Merton, R. C. (1969), “Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case,” Review of Economic and Statistics, Vol.51, 247-257. | zh_TW |
| dc.relation.reference (參考文獻) | 18. Merton, R. C. (1971), “Optimum Consumption and Portfolio Rules in a Continuous Time Model,” Journal of Economic Theory, Vol.3, 373-413. | zh_TW |
| dc.relation.reference (參考文獻) | 19. Merton, R. C. Continuous Time Finance, Blackwell, Oxford, 1990. | zh_TW |
| dc.relation.reference (參考文獻) | 20. O’Brien, T. (1986), “A Stochastic-dynamic Approach to Pension Funding,” Insurance: Mathematics and Economics, Vol.5, 141-146. | zh_TW |
| dc.relation.reference (參考文獻) | 21. O’Brien, T. (1987), “A Two-parameter Family of Pension Contribution Functions and Stochastic Optimization,” Insurance: Mathematics and Economics, Vol. 6, 129-134. | zh_TW |
| dc.relation.reference (參考文獻) | 22. Redington, F. M. (1952), “Review of the Principles of Life Office Valuations,” Journal of the Institute of Actuaries, Vol.78, 286-315. | zh_TW |
| dc.relation.reference (參考文獻) | 23. Rudolf M. and Ziemba W. T. (2004), “Intertemporal Surplus Management,” Journal of Economic Dynamics & Control, Vol.28, 975-990. | zh_TW |
| dc.relation.reference (參考文獻) | 24. Shiller, R. J. and Beltratti A. E. (1992), “Stock Prices and Bond Yields: Can Their Comovements be Explained in Terms of Present Value Models?,” Journal of Monetary Economics, Vol.30, 25-46. | zh_TW |
| dc.relation.reference (參考文獻) | 25. Sorensen, C. (1999), “Dynamic Asset Allocation and Fixed Income Management,” Journal of Financial and Quantitative Analysis, Vol.34, 513-531. | zh_TW |
| dc.relation.reference (參考文獻) | 26. Tobin, J. (1958), “Liquidity Preference as Behavior Toward Risk,” The Review of Economic Studies, Vol.25, 65-86. | zh_TW |
